Round 1: You kick in the door. Bad guys are presumably surprised and don't get an action.
Round 2: You throw the grenade and run your sorry little butt behind a wall.
If you want to house-rule it, you could always say that a grenade thrown at the beginning of your turn goes off at the end of your turn, just so you have time to do other things.
In the game, it's not as much fun to have that round of potential worrisome bad-guy time, but that would happen in real life, too -- the guy who kicked down the door would be regaining his balance for a second before throwing the grenade. So, both in real life and in the game, the ideal solution would be:
Strong Hero breaks down the door and then takes a five-foot reposition to get behind the wall.
Charismatic Hero calls out, "Hey, you guys is da BOMB!", tosses the grenade into the room, and moves over next to the Strong Hero.
Round 2: Bad guys are blown up. Strong Hero looks over at Charismatic Hero, sighs, and says, "You always have to use the same line?"
-Tacky